Equity Risk Factors for a Small Open Economy: A Risk Management Perspective

Multinational Finance Journal, 2001, vol. 5, no. 4, pp. 225-257 | https://doi.org/10.17578/5-4-1

                                                                           Hossein Asgharian, Lund University, Sweden                                                   

                                                                           Björn Hansson , Lund University, Sweden                                                   

Abstract:
This article seeks to find factors that can account for the determinants of common variations in returns for a small open economy where the Swedish stock market serves as an example. The importance of the candidate factors is first analyzed by looking at the standard deviation of their mimicking portfolio returns, while their performance is evaluated from a risk management viewpoint. The results of the volatility analysis verify that the market, as represented by both the world market portfolio and the Swedish home market portfolio, is a crucial factor and most of the macro factors seem to be redundant. The results of the risk management exercise show that the market factor and the portfolios mimicking size and book-to-market ratio are important.

Keywords: Multifactor models; open economy; return covariance; risk management.

Citation (Format 1)
Asgharian, Hossein, and Björn Hansson, 2001, Equity Risk Factors for a Small Open Economy: A Risk Management Perspective, Multinational Finance Journal 5, 225-257.
Citation (Format 2)
Asgharian, H., Hansson, B., 2001. Equity Risk Factors for a Small Open Economy: A Risk Management Perspective. Multinational Finance Journal 5, 225-257.

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Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks

Multinational Finance Journal, 2001, vol. 5, no. 4, pp. 259-301 | https://doi.org/10.17578/5-4-2

                                                                           Cathy S. Goldberg, University of San Francisco, U.S.A.

                                                                           Francisco A. Delgado, UBS Warburg, U.S.A.

Abstract:
This article presents an analysis of financial integration for emerging financial markets. The results indicate that for the sample of countries examined, Argentina, Chile, Mexico and Thailand’s stock markets are financially integrated. Conclusions are reached by first identifying endogeonous breaks in multiple stock return series and then constructing confidence intervals around these break dates. Further support is provided that identified breaks are due to integration by performing statistical analyses on the return series pre and post break. In general, the stocks in integrated countries become more correlated with world and industry indexes. Mean returns for these stocks decrease and become more aligned with the mean returns of their respective industry indexes. In cases where we do not find supporting evidence for financial integration, the break dates correspond to currency crises or other events that caused a shift in the return series Keywords : e

Keywords: Emerging markets; financial integration; structural break tests.

Citation (Format 1)
Goldberg, Cathy S., and Francisco A. Delgado, 2001, Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks, Multinational Finance Journal 5, 259-301.
Citation (Format 2)
Goldberg, C., Delgado, F., 2001. Financial Integration of Emerging Markets: An Analysis of Latin America Versus South Asia Using Individual Stocks. Multinational Finance Journal 5, 259-301.